Tiziano Bellini

PERSONAL DETAILS:

NAME AND SURNAME: Tiziano Bellini.

NATIONALITY: Italian.

Website: www.tizianobellini.com

EDUCATION:

2009 - Doctorate in Statistics, Università di Milano Bicocca XXI program (2005-2008). Visiting Ph.D Student at the London School of Economics (2007). Thesis: Intensity Credit Risk Models: A Robust Calibration. Topic: Pricing Credit Derivatives. Discussion date: April 30 2009. Vote: Summa Cum Laude.

2003 - Dottore Commercialista e Revisore dei Conti (Tax Expert and Chartered Public Accountant). Exam passed on June 2003. Vote: Summa Cum Laude.

1997 - Degree in Business and Economcis, Università degli studi di Parma, Faculty of Economics. Thesis: Teoria dell’informazione, della contrattazione e dell’agenzia: recenti sviluppi metodologici. Topic: Managerial Accounting and Governance. Discussion date: February 13 1997. Vote: Summa Cum Laude.

MAIN PUBLICATIONS

BOOKS

Author: Bellini T. Year 2017. Stress Testing and Risk Integration in Banks: A Statistical Framework and Practical Software Guide in Matlab and R. Academic Press - Inprint Elsevier

http://store.elsevier.com/Stress-Testing-and-Risk-Integration-in-Banks/Tiziano-Bellini/isbn-9780128035900/

Author: Bellini T. Year 2019. IFRS 9 and CECL Credit Risk Modelling and Validation: A Practical Guide with Examples Worked in R and SAS. Academic Press - Inprint Elsevier

https://www.elsevier.com/books/ifrs-9-and-cecl-credit-risk-modelling-and-validation/bellini/978-0-12-814940-9

ARTICLES

Author: Bellini T. Year 2015. Title: The Forward Search Interactive Outlier Detection in Cointegrated VAR Analysis. Journal: Advances in Data Analysis and Classification, 10 (3), 351-373. Editor: Springer. DOI: 10.1007/s11634-015-0216-8.

Author: Bellini T. Year 2013. Title: Integrated Bank Risk Modeling: A Bottom-up Statistical Framework. Journal: European Journal of Operational Research, 230 (2), 385–398. Editor: Elsevier. DOI:10.1016/j.ejor.2013.04.031 [http://dx.doi.org/10.1016/j.ejor.2013.04.031]

Authors: Bellini T., Riani M. Year: 2012. Title: Robust Analysis of Default Intensity. Journal: Computational Statistics and Data Analysis, 56 (11), 3276-3285 (1st issue of the Annals of Computational and Financial Econometrics, Sixth Special Issue on Computational Econometrics). Editor: Elsevier. DOI: 10.1016/j.csda.2011.03.007.

Author: Bellini T. Year: 2012. Title: Forward Search Outlier Detection in Data Envelopment Analysis. Journal: European Journal of Operational Research, 216 (1), 200–207. Editor: Elsevier. DOI:10.1016/j.ejor.2011.07.023.

Author: Bellini T. Year: 2010. Title: Detecting Atypical Observations in Financial Data: The Forward Search for Elliptical Copulas. Journal: Advances in Data Analysis and Classification, 4 (4), 287–299. Editor: Springer. DOI 10.1007/s11634-010-0072-5.

LANGUAGES:

Italian (mother tongue), English (fluent), French (Advanced).

COMPUTER SKILLS:

R, SQL, Matlab, SAS, Python, Latex, Excel, Power Point and other MS applications.

September 2020 – up to now

Prometeia

Director – Head of Risk Integration

Responsible for business development, advisory and software platform implementations across Europe with focus on balance sheet analytics, stress testing, climate risk, model risk management. I contributed to strengthen corporate alliances with international partners as well as developing business with new clients. Some relevant project include the following:

• Reiffaisen Bank International: climate stress testing.
• Barclays Bank: model risk management.
• Cassa Centrale Banca: stress testing, risk appetite and ICAAP.
• Business development across Europe (GSIBs, regional Banks) with focus on what follows:
  • Climate stress testing with impacts on balance sheet and IFRS9.
  • Model risk management: quantification and governance.
  • Advanced modelling, machine learning, resource optimization in risk validation unit.
  • Risk integration and balance sheet management: CFO and CRO integration agenda.
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  July 2018 – August 2020

  BlackRock Financial Market Advisory - London

  Director – Modelling Group

  Responsible for client facing advisory execution and business development across Europe by focusing on a series of themes by including IFRS9, stress testing, advanced analytics, scenario based financial planning, treasury. I contributed to strengthen corporate’s brand as part of the primary mission pursued by Financial Market Advisory (FMA) by including what follows:

• Piraeus Bank: review of IFRS9, stress testing, ICAAP, credit policies.
• Hellenic Bank: asset protection scheme modelling implementation.
• Santander: model development for capital allocation.
• Banca Popolare Modena balance sheet management, ICAAP, ILAAP, stress testing.
• Business development across UK and Europe (major UK and Swiss GSIBs, regional Banks) with focus on what follows:
  • Interconnection between CECL and IFRS9.
  • Stress testing agenda (e.g., 2020 stress testing cycle).
  • Advanced modelling, machine learning, resource optimization in risk validation unit.
  • Dynamic balance sheet, CFO and CRO integration agenda.

  September 2017 – June 2018

  Barclays Investment Bank - London

  Sr Vice President – QA ALM – Quantitative Analytics Asset and Liability Management

  Responsible for behavioural modelling with focus on stress testing and IFRS9, I lead the methodological development of a series of analytics and their implementation for industrialization. As part of the stress testing process, I was responsible for liaising with stress testing core team, credit risk development and IT unit for implementing the infrastructure to run 2018 PRA exercise. Achievements include IFRS9 behavioural models redevelopment and implementation as detailed below:

• CCAR US FED scenario analysis (USA regulation).
• PRA stress testing (UK regulation).
• EBA stress testing (European Regulation).
• Treasury & Asset and Liability Management.
• IFRS9.

  October 2015 – August 2017

  Ernst & Young - London

  Senior Manager – Financial Service Advisory – Quantitative Enterprise Risk Management EMEIA

  Responsible for the execution of the major UK IFRS9 outsourced model development and implementation, I lead a team of approximately 25 people for roughly one year. This experience has been used for EY as a benchmark across Europe for IFRS9 implementation. As part of this regulatory innovative wave, I contributed to acceleration business development processes by focusing on both GSIB clients as well as minor players. In this regard, I lead commercial development and implementation of a series of projects as detailed below:

• Nationwide Building Society IFRS9 and Model Build Program.
• Citi EBA stress testing.
• Santander LGD corporate.
• CHL Mortgages IFRS9 and Model Build Program.

  July 2014 – September 2015

  HSBC - London

  Senior Manager –Independent Model Review (IMR) Europe

  Responsible for IMR model validation for IFRS9 and Stress Testing (EMEIA), I lead various teams of experts across the globe for completing the independent model review of approximately 100 models in various regions: UK, Europe, USA, Hong Kong. Activities include what follows:

• CCAR US FED stress testing.
• Wholesale global stress testing model review (Global Stress Testing IMR).

• Oxford Economics macro-economic scenario enrichment model review (Global Stress Testing IMR and Europe-Mena IMR).

• Prudential Regulatory Authority (PRA) 2015 stress testing.

• Wholesale IFRS 9 model review (Europe-Mena IMR).

• Retail IFRS 9 model review (Europe-Mena IMR).

2008 August – June 2014

Prometeia S.p.A. - Bologna

Specialist in the Credit and Operational Risk Department

As Specialist in the Credit risk, I conducted a series of methodological enhancements of portfolio credit risk models, RWA projection, planning, risk integration. Prototype model development and software implementation constituted key focus area in my early days at Prometeia. As part of my professional development, I was responsible for the execution of a series of client-facing engagements across all major Italian Banks on a range of topics including: credit risk adjusted pricing, credit policies, risk integration. A brief summary of major activities is listed below:

Credit Risk

• Design and implementation, of portfolio credit policies: risk-adjusted portfolio analysis, economic value added (EVA) computation and capital allocation in the following banks:
  • Banca Monte dei Paschi di Siena (2013).
  • Banca Marche (2012).
  • Credito Valtellinese (2012).
  • Banca Popolare dell’Emilia Romagna (2011).
  • Cassa di Risparmio di Genova (2011).
• Capital planning and portfolio modelling software development and applications in the following banks:
  • Banca Marche (2012).
  • Credito Valtellinese (2012).
  • Banca Popolare dell’Emilia Romagna (2011).
  • Cassa di Risparmio di Genova (2011).
• RWA optimization process in the following banks:
  • Cassa di Risparmio di Genova (2012) – proof of concept for the effective implementation within the bank.
• Economic capital software development and implementation.
• Pricing and re-pricing processes implementation: software development and implementation, pricing simulation, pricing process revision in the following banks:
  • Banca Popolare di Bari (2013) – proof of concept.
  • Banca Popolare dell’Emilia Romagna (2011).
  • Cassa di Risparmio di Genova (2011 and 2012).
• Pricing CDO, Development and applications in the following banks:
  • Banco Popolare (2010-2012).

Risk Integration

• Risk Integration software development, integrated stress testing and applications. Please refer to Bellini T. (2013). Integrated Bank Risk Modeling: A Bottom-up Statistical Framework. Journal: European Journal of Operational Research, 230 (2), 385–398. Editor: Elsevier. DOI:10.1016/j.ejor.2013.04.031 [http://dx.doi.org/10.1016/j.ejor.2013.04.031]

IFRS9, IAS39 Accounting Principles

• IFRS9 proof of concept and feasibility study:
  • Cedacri Group (2013): consortium with 50 banks.
• IAS39 revision and provisioning analysis:
  • Cedacri Consortium Group (2012-2013): consortium with 50 banks.
• Fair value software development and application:
  • Banco Popolare (2013).
  • Cedacri Group (2013): consortium with 50 banks.

Operational Risk

• Definition of the whole adequacy program for IT architecture for operational risk, definition of organizational structure supporting LDC (Loss Data collection) activities.
• Support in data gathering activities and in development of archive of operational risk losses.
• Definition of organizational structure, and operational support in SRA (Self Risk Assessment) analysis.
• Development of processes and risk map for operational risk and its customization on client’s needs.
• Development of implementation projects regarding LDC (Loss Data Collection) software procedure.
• Development of systems to control and mitigate operational risk (KRI collection and analysis).
  • Banca Popolare dell’Emilia Romagna (2012-2013).

2000 – 2008

Banca Monte Parma S.p.A.

Head of Risk Management Department

(2003 – 2008)

I have covered a plurality of roles in different areas of the Bank by including Planning, Balance Sheet and Tax, Risk Management. With regards to the latter, I lead the implementation of the Asset and Liability Management system (i.e., ALMPRO) and become responsible for the Risk Management Unit. Activities include what follows:

Financial Risk

• Responsible for “Asset & Liability Management” project, implementation and analysis.
• Responsible for the liquidity project, implementation and analysis.
• Responsible for the VAR (value at risk) implementation and analysis.
• Responsible for the static and dynamic strategic financial planning: EVA, RAPM analysis and capital allocation.
• ALCO (Asset and Liability Committee) member.
• Responsible for Hedge Accounting evaluations.
• Responsible for impairment assessment and projection.
• Project and delivery management within the above areas:
  • Organisation and day by day management of ~3-5 people.

  Credit Risk and Basel II

• Responsible for the development of new credit assessment procedures.
• Responsible for Basel II project: market and credit risk measurements.
• Responsible for overall risk evaluation including impairment assessment and projection.
• Project and delivery management within the above areas:
  • Organisation and day by day management of ~3-5 people.

  Balance Sheet and Taxation Department

  (2001 – 2002)

• Responsible for the implementation of the Sap accounting system.
• Responsible for the project on impairment assessment and projection.
• Charged with the drawing up of the balance sheet and income tax return statement of Banca Monte Parma, Monte Parma Foundation, and Monte Parma Complementary Pension Fund.

Strategic Planning Department

(2000 – 2001)

• Responsible for the general review of the software system concerning the profitability of business areas and cost accounting revision.
• Appointed to the development of simulating models concerning banking interest rate time series in cooperation with the Statistics and Computer Science Division of the Department of Economics, Università degli Studi di Parma.

1998 – 2000

Ballarini Paolo & figli S.p.A.

Engineering Group leader in the aluminium pot production worldwide

• Responsible for the Cost Acconting and Budgeting project.
• Implementation of a managerial acconting system based on the “Activity Based Cost Method” and the development of the “Supply Chain” project.
• Charged with the drawing up of the balance sheet and income tax return statement of the firm.

2003 – 2008

Chartered Public Accountant and Tax Expert

• Firm evaluations.
• Tax calculation for manufacturing, real estate, service companies.
• Tax calculation for individuals.
• Managerial Accounting, Cost Accounting and Budgeting software implementation.
• Supply Chain Management.
• Merger and Acquisitions.
• Advisor in Bankruptcy procedures.

Full list of Published Articles

• Author: Bellini T.. Title: The Forward Search Interactive Outlier Detection in Cointegrated VAR Analysis. Year 2015. Journal: Advances in Data Analysis and Classification, 10 (3), 351-373. Editor: Springer. DOI: 10.1007/s11634-015-0216-8.
• Author: Bellini T.. Title: Integrated Bank Risk Modeling: A Bottom-up Statistical Framework. Year 2013. Journal: European Journal of Operational Research, 230 (2), 385–398. Editor: Elsevier. DOI:10.1016/j.ejor.2013.04.031 [http://dx.doi.org/10.1016/j.ejor.2013.04.031]
• Author: Bellini T. Title: Credit Stress Testing From a Portfolio Perspective. Year: 2013. Article of the Volume: Selected Issues in Statistical Methods and Applications in an Historical Perspective, Studies in Theoretical and Applied Statistics. Editor: Springer-Verlag Berlin Heidelberg.
• Authors: Bellini T., Bocchi, L.. Title: Portfolio Credit Risk Modelling. Year: 2013. Chapter of the Book: Retail Credit Risk Management. Editor: Palgrave Macmillan UK, Studies in Banking and Financial Institutions.
• Authors: Bellini T., Bocchi, L.. Title: Stress Testing, Capital Planning and Risk Integration. Year: 2013. Chapter of the Book: Retail Credit Risk Management. Editor: Palgrave Macmillan, Studies in Banking and Financial Institutions.
• Authors: Bellini T., Riani M.. Title: Robust Analysis of Default Intensity. Year: 2012. Journal: Computational Statistics and Data Analysis, 56 (11), 3276-3285 (1st issue of the Annals of Computational and Financial Econometrics, Sixth Special Issue on Computational Econometrics). Editor: Elsevier. DOI: 10.1016/j.csda.2011.03.007.
• Author: Bellini T.. Title: Forward Search Outlier Detection in Data Envelopment Analysis. Year: 2012. Journal: European Journal of Operational Research, 216 (1), 200–207. Editor: Elsevier. DOI:10.1016/j.ejor.2011.07.023.
• Author: Bellini T.. Title: Il rischio di credito: profili concettuali e gestionali. Year: 2012. Raccolta: Il risk management in banca, 43-71. Editor: Banking Financial Diploma ABI, Roma.
• Author: Bellini T.. Title: La misurazione del rischio di credito. Year: 2012. Raccolta: Il risk management in banca, 73-98. Editor: Banking Financial Diploma ABI, Roma.
• Author: Bellini T.. Title: Detecting Atypical Observations in Financial Data: The Forward Search for Elliptical Copulas. Year: 2010. Journal: Advances in Data Analysis and Classification, 4 (4), 287–299. Editore: Springer. DOI 10.1007/s11634-010-0072-5.
• Authors: Bellini T., Riani M.. Title: Un modello statistico per l’analisi della dipendenza temporal dei tassi bancari dai tassi Interbancari. Year: 2010. Chapter of the Book: Excel per la finanza e il management, 273-303. Alpha Test, Milano. ISBN/ISSN 9788848312639.
• Authors: Grossi L., Bellini T.. Title: Credit Risk Management through Robust Generalized Linear Models. Year: 2006. Article of the Volume: Data Analysis, Classification and the Forward Search, pp. 377-386. Editor: Springer-Verlag, Heidelberg. ISBN: 3-540-35977-X.

Referee and Review Activities

• Journal of Banking and Finance (Elsevier).
• European Journal of Operational Research (Elsevier).
• Omega – The International Journal of Management Science (Elsevier).
• Journal of Applied Statistics (Taylor & Francis).
• SIS – Società Italiana Statistica.

Conference Presentations

• Bellini, T. (2019). Stress testing: a viaduct towards the next risk management generation, plenary session QuantMinds International Vienna, May 19

  https://finance.knect365.com/quantminds-international/speakers/tiziano-bellini .

• Bellini, T. (2013). Robust Credit Stress Testing Trough a Cointegrated Framework, Meeting SIS Brescia, June 19.
• Bellini, T., Grossi, L. (2012). A Statistical Framework to Measure Reputation Risk, Meeting SIS Roma, June 20.
• Bellini T. (2011). Outlier Detection in Time Series: Envelope Analysis, ERCIM ((European Research Consortium for Informatics and Mathematics), London, December 17.
• Bellini T. (2011). Integrated Banking Economic Capital, Riunione CLADAG (Classification and Data Analysis Group, Società Italiana di Statistica), Pavia, September 7.
• Bellini T. (2011). Robust Time Series Analysis Through the Forward Search, ICORS (International Conference on Robust Statistics), Valladolid, June 27.
• Bellini T. (2011). Robust Credit Stress Testing, Riunione SIS (Società Italiana di Statistica), Bologna, June 10.
• Bellini T. (2010). The Forward Search Estimation of Integrated Economic Capital, CFE (Computational and Financial Econometrics), London, December, 10.
• Bellini T. (2010). Robust Data Envelopment Analysis, Riunione SIS (Società Italiana di Statistica), Padova, June 17.
• Bellini T. (2009). Robust Analysis of Default Intensity, ERCIM (European Research Consortium for Informatics and Mathematics) Limassol (Cyprus), October 29.
• Bellini T. (2009). Robust Copula Calibration, ICORS (International Conference on Robust Statistics),Parma, June 18.
• Grossi L., Bellini T. (2005). Credit Risk Management through Robust Generalized Linear Models, CLADAG (Classification and Data Analysis Group),Parma, June 8.
• Grossi L., Bellini T., Gozzi G. (2003). Analyzing the Temporal Dependence of Bank Interest Rates to Market Interest Rates: the Italian Case, SIS Napoli, June 10.

Conference Organizations

• 2012: Tendenze evolutive nella misurazione e nella gestione integrata dei rischi nel sistema finanziario, Parma, February 3.
• 2010: Metodi multivariati robusti per l’analisi di dati economici, SIS School, Parma, September 20-24.
• 2009: ICORS (International Conference on Robust Statistics), Parma, June 14-19.
• 2005: CLADAG (Classification and Data Analysis Group), Parma, June 6-8.

Teaching

• 2021-2022 University of Bologna: Professor, Master in Quantitative Finance and Stochastics.
• 2017-2018 Imperial College London: Guest Lecturer, Master in Risk and Stochastics.
• 2015-2016: London School of Economics: Guest Lecturer, Master in Risk and Stochastics.
• 2013-2014: Università di Bologna (Rimini) Contract Professor: Econometrics of Risk (60 h.).
• 2011-2012: Università di Parma, Facoltà di Economia, Contract Professor: Statistica I (72 h.).
• 2012: Misurazione e Gestione del Rischio di Credito, Master in Credit Risk Management, Università Cattolica del Sacro Cuore, Milano, June.
• 2011: Stress Testing e Integrazione dei Rischi, Master in Credit Risk Management, Università Cattolica del Sacro Cuore, Milano, June.
• 2011: Credit Risk Modelling, Master in Quantitative Finance, Università di Bologna, Bologna (Italy), February - March.
• 2010-2011: Università di Parma, Facoltà di Economia, Contract Professor: Analisi dei Dati Statistici (30 h.).
• 2010: The Forward Search in Banking Economic Capital Estimation, Joint Research Project Italia-Spagna, Parma, October.
• 2010: The Forward Search in Financial Analysis, Scuola SIS, Parma (Italy), September.
• 2010: Stress Testing, Master in Credit Risk Management, Università Cattolica del Sacro Cuore, Milano, July.
• 2009-2010: Università di Parma, Facoltà di Economia, Contract Professor: Campionamento e Inferenza Statistica (30 h.).
• 2007: Multivariate Copula Estimation, London Graduate School in Mathematical Finance, London, December.